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Renault, Eric
27
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11
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4
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4
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4
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Journal of econometrics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Econometric theory
2
Journal of banking & finance
2
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OLC EcoSci
ECONIS (ZBW)
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Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J.M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-280
Persistent link: https://www.econbiz.de/10008770538
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2
Theory and Methods - Comment - Quantile Autoregression
Hallin, Marc
;
Werker, Bas J.M.
- In:
Journal of the American Statistical Association : JASA
101
(
2006
)
475
,
pp. 996-997
Persistent link: https://www.econbiz.de/10007292904
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3
SHORTER PAPERS - Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets
Roon, Frans A.De
;
Nijman, Theo E.
;
Werker, Bas J.M.
- In:
The journal of finance : the journal of the American …
56
(
2001
)
2
,
pp. 721-742
Persistent link: https://www.econbiz.de/10006565413
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4
Closing the GARCH gap: Continuous time GARCH modeling
Drost, Feike C.
;
Werker, Bas J.M.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 31-58
Persistent link: https://www.econbiz.de/10006796324
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5
Semiparametric Duration Models
Drost, Feike C.
;
Werker, Bas J.M.
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
1
,
pp. 40-50
Persistent link: https://www.econbiz.de/10008214954
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6
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
Drost, Feike C.
;
Nijman, Theo E.
;
Werker, Bas J.M.
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
2
,
pp. 237-243
Persistent link: https://www.econbiz.de/10008219288
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7
The Impact of Overnight Periods on Option Pricing
Boes, Mark-Jan
;
Drost, Feike C.
;
Werker, Bas J.M.
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
2
,
pp. 517
Persistent link: https://www.econbiz.de/10007759828
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8
Short-horizon regulation for long-term investors
Shi, Zhen
;
Werker, Bas J.M.
- In:
Journal of banking & finance
36
(
2012
)
12
,
pp. 3227-3239
Persistent link: https://www.econbiz.de/10010026827
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9
Yet another look at mutual fund tournaments
Goriaev, Alexei
;
Nijman, Theo E.
;
Werker, Bas J.M.
- In:
Journal of empirical finance
12
(
2005
)
1
,
pp. 127-138
Persistent link: https://www.econbiz.de/10007225893
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10
A class of simple distribution-free rank-based unit root tests
Hallin, Marc
;
van den Akker, Ramon
;
Werker, Bas J.M.
- In:
Journal of econometrics
163
(
2011
)
2
,
pp. 200-215
Persistent link: https://www.econbiz.de/10009163368
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